IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by-3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. If you are short one call option, what is the future value in 8 months of a delta-neutral portfolio? O 72.652 60.575 O 74.738 66.395 67.438
IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by-3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. If you are short one call option, what is the future value in 8 months of a delta-neutral portfolio? O 72.652 60.575 O 74.738 66.395 67.438
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5
percent or down by -3.0 percent. The risk-free rate of interest is 4.5 percent continuously
compounded. A call option with strike price 83 and maturity of 8 months has a delta of 0.82766. If
you are short one call option, what is the future value in 8 months of a delta-neutral portfolio?
72.652
O 60.575
O 74.738
O 66.395
67.438
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